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Sentiment during Recessions

García, Diego

Journal of Finance, June 2013, Vol.68(3), pp.1267-1300 [Rivista Peer Reviewed]

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  • Titolo:
    Sentiment during Recessions
  • Autore: García, Diego
  • Note di contenuto: This paper studies the effect of sentiment on asset prices during the 20th century (1905 to 2005). As a proxy for sentiment, we use the fraction of positive and negative words in two columns of financial news from the . The main contribution of the paper is to show that, controlling for other well‐known time‐series patterns, the predictability of stock returns using news' content is concentrated in recessions. A one standard deviation shock to our news measure during recessions predicts a change in the conditional average return on the DJIA of 12 basis points over one day.
  • Fa parte di: Journal of Finance, June 2013, Vol.68(3), pp.1267-1300
  • Tipo: Articolo
  • Identificativo: ISSN: 0022-1082 ; E-ISSN: 1540-6261 ; DOI: 10.1111/jofi.12027
  • Fonte: John Wiley & Sons, Inc.

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